BREXIT ve İngiltere için J-Eğrisi Hipotezi: NARDL Yaklaşımı

Year 2019, Volume: 27 Issue: 40, 229 - 239, 30.04.2019

Ayşen Sivrikaya , Serdar Ongan

https://doi.org/10.17233/sosyoekonomi.2019.02.14

Cited By: 6

Abstract

Bu çalışmada, İngiltere ve temel ticaret ortağı 17 ülke arasındaki ikili ticaret üzerinden J-eğrisi hipotezi araştırılmıştır. Bu amaçla, 1981Q1-2015Q1 dönemi verileri ve Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif (NARDL) eş-bütünleşme yaklaşımı kullanılmıştır. Bu çalışmanın sonuçları, İngiltere ve 17 ticaret ortağı arasındaki ticaret için J-eğrisi hipotezinin geçerli olmadığını göstermektedir. Ayrıca, bu çalışma sonuçlarına göre, İngiliz sterlinin değerindeki azalış veya artış, İngiliz ticaret hadlerinde kısa dönemde asimetrik etkiler yaratmaktadır. Dolayısıyla bu çalışma, İngiltere’de yapılan 2016 Avrupa Birliği Üyeliği Referandumu sonrası, İngiliz sterlininin değerinde gerçekleşen dalgalanmaların kısa ve uzun dönemde İngiliz ticaret hadlerine etkisini ortaya koymaktadır.

Keywords

J-Eğrisi, BREXIT, Doğrusal Olmayan ARDL, Asimetri, İngiltere

BREXIT and the J-Curve Hypothesis for the UK: A Nonlinear ARDL Approach

Abstract

In this study, we investigate the validity of the J-curve hypothesis based on the bilateral trade models between the UK and its 17 main trading partner countries over the period of 1981Q1-2015Q1, by applying Nonlinear Autoregressive Distributed Lag (NARDL) cointegration approach. The results of this study suggest no evidence supporting the J-curve hypothesis between the UK and any of its 17 trading partners. We also find that depreciations and appreciations in value of the GBP have asymmetric effects on the UK’s trade balances in the short-run. Therefore, the results of this study have potential to shed light on both short run and long run consequences of the recent fluctuations of the GBP with respect to the trade balances after the UK’s EU membership referendum in 2016.

Keywords

J-Curve, BREXIT, Nonlinear ARDL; Asymmetry, the UK

References

• Akbostanci, E. (2004), “Dynamics of the Trade Balance: The Turkish J-Curve”, Emerging Markets Finance and Trade, 40, 57-73.
• Baek, J. W. W. Koo, and K. Mulik (2009), “Exchange Rate Dynamics and the Bilateral Trade Balance: The Case of U.S. Agriculture”, Agricultural and Resource Economics Review, 38(2), 213-228.
• Bahmani-Oskooee M., S. H. Ghodsi, F. Halicioglu (2017), “UK trade balance with its trading partners: An asymmetry analysis”, Economic Analysis and Policy, 56, 188-199.
• Bahmani-Oskooee M. and A. Ratha (2004), “The J-Curve: a literature review”, Applied Economics, 36, 1377–1398.
• Bahmani-Oskooee M. and G. G. Goswami (2003), “Exchange Rate Sensitivity of Japan’s Bilateral Trade Flows”, Japan and the World Economy, 16, 1-15.
• Bahmani-Oskooee, M, and H. Fariditavana (2016), “Nonlinear ARDL Approach and the J Curve Phenomenon”, Open Economies Review, 27, 51-70.
• Bahmani-Oskooee, M. and M. Kovyryalova (2008), “The J-Curve: Evidence from Industry Trade Data between US and UK”, Economic Issues, 13, 25-44.
• Bahmani-Oskooee, M. and S. W. Hegerty (2010), “The J- and S-curves: A Survey of the Recent Literature”, Journal of Economic Studies, 37(6), 580–596.
• Bahmani-Oskooee, M. and T. J. Brooks (1999), “Bilateral J-Curve Between US and her Trading Partners”, Weltwirtschaftliches Archiv, 135, 156-165.
• Bahmani-Oskooee, M. and Z. Ardalani (2006), “Exchange Rate Sensitivity of U.S. Trade Flows: Evidence from Industry Data”, Southern Economic Journal, 72(3), 542-559.
• Demirden, T. and I. Pastine (1995), “Flexible Exchange Rates and the J-curve: An Alternative Approach”, Economics Letters, 48, 373-377.
• Dhingra, S., G. Ottaviano, T. Sampson and J. Van Reenen (2016), “The consequences of Brexit for UK trade and living standards” Centre for Economic Performance (CEP), London School of Economics and Political Science (LSE).
• Engle. R. F., and C. W. J. Granger (1987), “Co-integration and error correction: Representation, estimation and testing”, Econometrica, 55, 1251-1276.
• Gomes, F. A. R. and L. S. Paz (2005), “Can real exchange rate devaluation improve the trade balance? The 1990–1998 Brazilian case”, Applied Economics Letters, 12, 525–528.
• Gupta-Kapoor A. and U. Ramkrishnan (1999), “Is There a J-Curve? A New Estimation for Japan”, International Economic Journal, 13, 71-79.
• Halicioglu, F. (2008), “The J-Curve Dynamics of Turkey: An Application of ARDL Model”, Applied Economics, 40, 2423-2439.
• Himarrios, D. (1985), “The Effects of Devaluation on the Trade Balance: A Critical View and Reexamination of Miles’s ‘New Results’ ”, Journal of International Money and Finance, 4, 553-563.
• Hsing, Y. and Bruno S. Sergi (2010), “Test of the bilateral trade J-curve between the USA and Australia, Canada, New Zealand and the UK”, International Journal of Trade and Global Markets, 3(2), 189 – 198.
• Kale, P. (2001), “Turkey’s trade balance in the short and the long-run: error correction modelling and cointegration”, The International Trade Journal, XV, 27–56.
• Keynes, J. M. (1936), The General Theory of Employment, Interest, and Money, MacMillan: London.
• Krugman, P. R. and R. E. Baldwin (1987), “The Persistence of US Trade Deficit” Brookings Papers on Economic Activity, 1, 1-43.
• Lal A. K. and T. C. Lowinger (2002), “The J-curve: Evidence from East Asia”, Journal of Economic Integration, 17, 397-415.
• Lerner, A. (1944), The Economics of Control, Macmillan: London.
• Magee, S. P. (1973), “Currency contracts, pass through and devaluation”, Brooking Papers on Economic Activity, 1, 303–25.
• Marshall, A. (1923), Money, Credit and Commerce, Macmillan: London.
• Miles, M.A. (1979), “The Effects of Devaluation on the Trade Balance and Balance of Payments: Some New Results”, Journal of Political Economy, 87, 600-619.
• Morgan, D. P. (1993), “Asymmetric effects of monetary policy”, Federal Reserve Bank of Kansas City Economic Review, 78, 21–33.
• Pesaran, M. H., Y. Shin and R. J. Smith (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16, 289-326.
• Rose, A. K. and J. I. Yellen (1989), “Is There a J-Curve?”, Journal of Monetary Economics, 24, 53-68.
• Shin, Y, B. Yu and M. Greenwood-Nimmo (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework” in Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications by R. Sickels and W. Horrace, Eds., Springer, 281-314.
• Shirvani, H. and B. Wilbratte (1997), “The Relation Between the Real Exchange Rate and the Trade Balance: An Empirical Reassessment”, International Economic Journal, 11, 39-50.
• Springford, J. and S. Tilford (2014), “The Great British trade-off”, Discussion paper, Centre for European Reform.
• Stock, James H., and Mark W. Watson (1988), "Testing for common trends", Journal of the American Statistical Association, 83(404), 1097-1107.
• Wilson, P. (2001), “Exchange rates and the trade balance for dynamic Asian economies: Does the J-curve exist for Singapore, Malaysia and Korea”, Open Economic Review, 12, 389–413.
• Wilson, P. and K. C. Tat (2001), “Exchange Rates and the Trade Balance: The Case of Singapore 1970 to 1996”, Journal of Asian Economics, 12, 47-63.